Essays about: "Principalkomponents analys"

Found 1 essay containing the words Principalkomponents analys.

  1. 1. Solvency Capital Requirement (SCR) for Market Risks : A quantitative assessment of the Standard formula and its adequacy for a Swedish insurance company

    University essay from KTH/Matematisk statistik

    Author : Björn Widing; [2016]
    Keywords : Solvency II; Standard formula; Solvency Capital Requirement; Value at Risk; Principal Component Analysis; Cornish Fisher expansion; Solvens II; Standardformeln; Kapitalbaskrav; Value at Risk; Principalkomponents analys; Cornish Fisher expansion;

    Abstract : The purpose of this project is to validate the adequacy of the Standard formula, used to calculate the Solvency Capital Requirement (SCR), with respect to a Swedish insurance company. The sub-modules evaluated are Equity risk (type 1) and Interest rate risk. The validation uses a quantitative assessment and the concept of Value at Risk (VaR). READ MORE